Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0097
Annualized Std Dev 0.0750
Annualized Sharpe (Rf=0%) 0.1287

Row

Daily Return Statistics

Close
Observations 3369.0000
NAs 1.0000
Minimum -0.0480
Quartile 1 -0.0012
Median 0.0002
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0014
Maximum 0.0544
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0047
Skewness -0.0465
Kurtosis 28.2157

Downside Risk

Close
Semi Deviation 0.0034
Gain Deviation 0.0039
Loss Deviation 0.0043
Downside Deviation (MAR=210%) 0.0094
Downside Deviation (Rf=0%) 0.0034
Downside Deviation (0%) 0.0034
Maximum Drawdown 0.1315
Historical VaR (95%) -0.0056
Historical ES (95%) -0.0117
Modified VaR (95%) -0.0051
Modified ES (95%) -0.0051
From Trough To Depth Length To Trough Recovery
2020-02-28 2020-03-23 2021-02-03 -0.1315 236 17 219
2008-01-24 2008-12-11 2009-03-02 -0.1278 271 218 53
2012-11-30 2013-09-05 2016-06-24 -0.1219 897 191 706
2009-03-31 2011-01-13 2012-01-13 -0.0992 698 446 252
2016-06-29 2018-11-02 2019-08-15 -0.0735 788 593 195

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA NA 0.5 0.1 0.3 0.9
2008 -0.6 -2.7 0.3 0.2 -0.6 0.3 0 0 -0.9 -0.7 -0.1 2.6 -2.3
2009 0.2 0.1 -4 -0.9 -1.6 0 -0.1 -0.1 1.1 0 -1.5 -0.1 -6.7
2010 -0.1 -0.2 -0.6 0.5 0.2 -0.1 0 -0.7 -0.4 -0.7 0 -0.1 -2.2
2011 -0.2 -0.6 -0.2 0.3 0.1 -0.5 -0.6 -0.2 0 -0.3 -0.4 0.6 -2
2012 -0.2 -0.2 -0.1 -0.2 -0.1 -0.1 -0.6 0 -0.2 -0.3 -0.1 -0.2 -2.3
2013 0.2 -0.3 -0.4 -0.2 -0.2 -0.2 0.5 0 -0.4 -0.5 0.4 0 -1.2
2014 -0.1 0.2 0.2 -0.2 -0.1 -0.2 -0.3 0.1 0 -0.3 -0.2 0.1 -0.8
2015 0.4 0.3 -0.2 -0.4 -0.4 -0.2 0.1 0 -0.1 0.2 -0.1 0.2 -0.1
2016 -0.1 -0.4 -0.2 0 -0.1 -0.1 -0.3 -0.2 -0.1 -0.2 -0.7 -0.1 -2.4
2017 -0.3 -0.4 0 -0.2 -0.2 0 -0.3 -0.3 0 -0.2 0.1 0.1 -1.7
2018 -0.5 0 0 -0.1 -0.4 0.1 -0.5 0.1 -0.4 -0.3 0.1 0 -1.8
2019 -0.3 -0.2 -0.2 -0.1 0.1 -0.2 -0.1 0 -0.1 -0.1 0 -0.1 -1.3
2020 0.3 -0.3 -3.1 0 0 -0.1 0 -0.3 -0.1 0.1 -0.1 0 -3.8
2021 0.1 -0.3 0.1 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-10-05  50.7 SPY    156.  0.0119    0.0214   0.0521   0.0186    0.155    0.368    0.894 GLD    73.4  0.0073  -0.0015
2 2007-10-08  50.6 SPY    155. -0.0053    0.0047   0.0613   0.0272    0.147    0.352    0.919 GLD    72.5 -0.0119  -0.0185
3 2007-10-09  50.8 SPY    156.  0.0094    0.0155   0.0733   0.0295    0.159    0.379    0.978 GLD    73.1  0.0077   0.0102
4 2007-10-10  50.8 SPY    156. -0.0017    0.0159   0.0592   0.0119    0.156    0.388    0.944 GLD    73.4  0.0037   0.0203
5 2007-10-11  50.7 SPY    155. -0.00480   0.0094   0.0514   0.004     0.149    0.376    0.991 GLD    73.9  0.0075   0.0143
6 2007-10-12  50.7 SPY    156.  0.0055    0.0031   0.0498   0.0097    0.157    0.389    0.939 GLD    74.6  0.0092   0.0162
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart